Processing Data (dccd.process_data)

Functions to clean, sort and other process data.

set_marketdepth(book, t=None)

Set a market depth dataframe with list of order books.

Parameters:

bookdict

Orderbook as dict, where keys is the price (positive=bid, negative=ask) and value is the amount.

Returns:

pl.DataFrame

Order book as flat dataframe with columns ['TS', 'side', 'rank', 'price', 'cum_amount', 'vwab'].

set_ohlc(trades, ts=60)

Aggregate and set a dataframe with list of trades.

Parameters:

tradeslist

Historical trades tick by tick as list.

tsint, optional

Timestep in seconds to aggregate data, default is 60.

Returns:

pl.DataFrame

Aggregated trades as OHLC dataframe with columns ['TS', 'open', 'high', 'low', 'close', 'volume'].

set_orders(orders, t=None)

Set a dataframe with list of each order.

Parameters:

orderslist

Each orders in a list.

Returns:

pl.DataFrame

List of orders as dataframe.

set_trades(trades)

Set a dataframe with list of trades.

Parameters:

tradeslist

Historical trades tick by tick as list.

Returns:

pl.DataFrame

Historical trades tick by tick as dataframe.